BackBrowsing Documentos de Trabajo e Informes Técnicos by Subject "FINANCIAL ECONOMICS"
Now showing items 21-28 of 28
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The Relationship between Risk and Expected Return in Europe
(University of the Basque Country, Department of Foundations of Economic Analysis II, 2005-01)We employ MIDAS (Mixed Data Sampling) to study the risk-expected return trade-off in several European stock indices. Using MIDAS, we report that, in most indices, there is a significant and positive relationship between ... -
Time-Varying Beta Estimators in the Mexican Emerging Market
Nieto Domenech, Belén; ; Zárraga Alonso, Ainhoa
(2011)
This paper compares the performance of three different time-varying betas that have never previously been compared: the rolling OLS estimator, a nonparametric estimator and an estimator based on GARCH models. The study ... -
Uncertainty and Real Options. Investment and Development of Fishing Resources (I)
(2000-01)[EN] The valuation of development opportunity of a fishery is made particularly difficult by the high degree of uncertainty attaching to the price of the fishing resource. The net-present-value and other discounted cash-flows ... -
Uncertainty and Real Options. Investment and Development of Fishing Resources (II)
(2000-01)[EN] The irreversibility of the investment expenditures in a fishery and the high degree of uncertainty attaching to the price of the fishing resources make the evaluation of investment opportunity in a fishery particularly ... -
Understanding the ex-ante cost of liquidity in the limit order book: A note
Martínez Sedano, Miguel Ángel; Rubio Irigoyen, Gonzalo; Tapia, Mikel (University of the Basque Country, Department of Foundations of Economic Analysis II, 2002-01)
This paper estimates a new measure of liquidity costs in a market driven by orders. It represents thecost of simultaneously buying and selling a given amount of shares, and it is given by a single measure of ex-ante liquidity ... -
Valoración de la garantía de los planes de pensiones en España
Chamorro Gómez, José Manuel (2004-09)
Algunas reformas de la Seguridad Social animan u obligan a los individuos a pasar desde un sistema de pensiones con prestación definida gestionado públicamente a otro de aportación definida gestionado privadamente. Con ... -
Valuing Flexibility: The case of an Integrated Gasification Combined Cycle Power Plant
Abadie, Luis María; Chamorro Gómez, José Manuel (2005-10)
In this paper we analyze the valuation of options stemming from the flexibility in an Integrated Gasification Combined Cycle (IGCC) Power Plant. First we use as a base case the opportunity to invest in a Natural Gas Combined ... -
Wavelet multiple correlation and cross-correlation: A multiscale analysis of euro zone stock markets
Fernández Macho, Francisco Javier (2011-06)
Statistical studies that consider multiscale relationships among several variables use wavelet correlations and cross-correlations between pairs of variables. This procedure needs to calculate and compare a large number ...